分数跳-扩散O-U过程下幂型期权定价  

Actuarial approach to power option pricing under fractional jump-diffusion O-U process

作　　者：符双[1] 薛红[1] 

机构地区：[1]西安工程大学理学院,西安710048

出　　处：《哈尔滨商业大学学报（自然科学版）》2014年第6期758-762,共5页Journal of Harbin University of Commerce：Natural Sciences Edition

基　　金：陕西省教育厅自然科学专项基金(12JK0862)

摘　　要：假设股票价格遵循分数跳-扩散O-U过程,且无风险利率和股票波动率均为时间的确定性函数,利用保险精算的方法,建立了分数跳扩散O-U过程下的幂型期权定价模型,获得了幂型期权的看涨和看跌定价公式.This paper assumed that stock price followed the fractional jump-diffusion O-U process,and the riskless interest rate and the volatility rate of stock were time function. The power option pricing model was presented by an actuarial approach. The call option and put option pricing formulae of power option were obtained.

关 键 词：分数布朗运动 跳-扩散过程 ORNSTEIN-UHLENBACK过程 幂型期权 保险精算方法 

分 类 号：F830[经济管理—金融学]